Don't forget also Lethal Weapon, where Mel Gibson sticks his finger in a gun. (It may have been Lethal Weapon 2, 3, 5, 73, whatever, but it was one of those) I believe in that case the intent was merely psychological, rather than intended to explode the gun, but it wasn't explicitly stated either way.

You're thinking of Maverick (in which Gibson stars as the title character and Glover appears in a Lethal Weapon-referenced cameo).

I think it was Support Your Local Sheriff! and Walter Brennan was holding the gun and it was James Garner's finger.